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Center-outward quantiles and the measurement of multivariate risk
Beirlant, Jan; Buitendag, S.; Barrio, Eustasio del; … - In: Insurance / Mathematics & economics 95 (2020), pp. 79-100
Persistent link: https://www.econbiz.de/10012419249
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Direct and hierarchical models for aggregating spatially dependent catastrophe risks
Wójcik, Rafał; Liu, Charlie Wusuo; Guin, Jayanta - In: Risks : open access journal 7 (2019) 2/54, pp. 1-22
We present several fast algorithms for computing the distribution of a sum of spatially dependent, discrete random variables to aggregate catastrophe risk. The algorithms are based on direct and hierarchical copula trees. Computing speed comes from the fact that loss aggregation at branching...
Persistent link: https://www.econbiz.de/10012019121
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Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation
Bräutigam, Marcel - 2020
Persistent link: https://www.econbiz.de/10012488824
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Credit derivatives
Hull, John; White, Alan - 2013
Persistent link: https://www.econbiz.de/10009696025
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Can cryptocurrencies be a safe haven : a tail risk perspective analysis
Feng, Wenjun; Yiming, Wang; Zhang, Zhengjun - In: Applied economics 50 (2018) 44, pp. 4745-4762
Persistent link: https://www.econbiz.de/10012061627
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Sensitivity-implied tail-correlation matrices
Paulusch, Joachim; Schlütter, Sebastian - In: Journal of banking & finance 134 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
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Optimal prevention for correlated risks
Courbage, Christophe; Loubergé, Henri; Peter, Richard - 2013
reduction (self-protection) so that correlation becomes endogenous. If prevention concerns only one risk, introducing a second … exogenous risk increases the level of prevention expenditures, even if correlation is negative. If prevention expenditures may …
Persistent link: https://www.econbiz.de/10010256952
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Core earnings uncertainty, dividend change announcements and the reduction of covariance component risks
Dempsey, Stephen J.; Harrison, David M.; Sheng, Hainan - In: Journal of business finance & accounting : JBFA 42 (2015) 9/10, pp. 1075-1120
Persistent link: https://www.econbiz.de/10011535857
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Machine learning risk models
Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 6 (2019) 1, pp. 37-64
Persistent link: https://www.econbiz.de/10012237599
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Reputation risk contagion
Mitic, Peter - In: The journal of network theory in finance 3 (2017) 1, pp. 53-86
Persistent link: https://www.econbiz.de/10011668583